Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1405
Annualized Std Dev 0.2932
Annualized Sharpe (Rf=0%) 0.4793

Row

Daily Return Statistics

Close
Observations 3949.0000
NAs 1.0000
Minimum -0.1382
Quartile 1 -0.0092
Median 0.0012
Arithmetic Mean 0.0007
Geometric Mean 0.0005
Quartile 3 0.0110
Maximum 0.1141
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0013
Variance 0.0003
Stdev 0.0185
Skewness -0.2510
Kurtosis 3.7518

Downside Risk

Close
Semi Deviation 0.0134
Gain Deviation 0.0120
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.6296
Historical VaR (95%) -0.0291
Historical ES (95%) -0.0428
Modified VaR (95%) -0.0296
Modified ES (95%) -0.0493
From Trough To Depth Length To Trough Recovery
2006-05-05 2008-11-20 2014-03-20 -0.6296 1970 643 1327
2020-02-20 2020-03-20 2020-06-05 -0.3659 75 22 53
2018-06-07 2018-12-24 2019-04-16 -0.2851 216 139 77
2015-06-02 2016-02-11 2016-07-26 -0.2636 291 177 114
2019-04-25 2019-05-31 2019-07-24 -0.1899 63 26 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.2 -0.1 -1.4 1.7 -1.2 3.2 -0.8 1
2006 1.8 3.9 -0.4 -0.5 3 0.5 -2.4 -1.1 -1 -2.9 -1 -1 -1.3
2007 0.8 -0.8 0.1 0.5 0.7 -0.7 -0.7 1.5 2.6 -2.5 -1 -0.2 0.1
2008 3.5 -2.6 3.4 3.7 0.8 -0.4 -0.9 -1.7 -2.9 2.7 -8.7 2.7 -1.1
2009 -2.3 0.1 1.4 0 4.5 1.6 0 -2.3 -5.5 -2.7 3.3 -0.9 -3.2
2010 3.6 2.8 -0.4 -4.2 -2.9 -0.2 -1.4 2.5 0.2 -1.1 3.2 -0.6 1.2
2011 3.5 -1.6 -1.1 0.3 -1.8 2 -0.4 -1.8 -2.3 -2.7 0.2 -0.9 -6.7
2012 1.4 -0.4 1.1 0.6 -3.9 3.6 -1.2 0.9 -1.8 2.9 0.1 2.3 5.4
2013 2.3 -1.2 -1.5 -1.7 -0.9 0.3 2 -1.3 0.1 -1.1 0.7 0.8 -1.8
2014 -0.6 0.4 1.5 0.3 0.4 1.3 0.7 1 -2.8 4.8 -1.6 -0.7 4.6
2015 -2.6 -0.1 -1.1 2.8 0.3 -0.4 -0.8 -3.3 -1.3 1.5 1 -1.6 -5.7
2016 0.5 2.3 0.5 -2.8 0.4 -0.5 0.1 1 1.4 -0.4 -5.6 -1.4 -4.6
2017 2.1 1.9 0.2 1.6 0.1 -0.8 0.1 0.8 0.9 -2 -1.4 -0.8 2.6
2018 -0.2 -1.3 2.1 1.3 2 0.2 -0.3 0.6 -0.3 4.3 1.7 0.3 10.8
2019 1.2 0.9 2.3 -0.7 -1.5 2.4 -1 1 -1.1 2.1 -1.2 0.2 4.7
2020 -3.7 2 -5.1 -5.7 -0.3 -1.4 -0.4 1.7 2.7 -1.5 2 0.2 -9.5
2021 4.4 4.5 1.3 NA NA NA NA NA NA NA NA NA 10.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart